Journal Articles

Permanent URI for this collectionhttps://mro.massey.ac.nz/handle/10179/7915

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    Does the U.S. export inflation? Evidence from the dynamic inflation spillover between the U.S. and EAGLEs
    (Elsevier Inc, 2024-07-02) Nguyen TTT; Pham SD; Li X-M; Do HX
    Given the crucial role of inflation as a key economic barometer, our paper investigates the dynamic inflation spillover between the U.S. and the nine emerging and growth-leading economies (EAGLEs) between 1991M1 and 2020M2. Employing the recently developed time-varying parameter vector autoregressions (TVP-VAR)-based connectedness approach, we find evidence of a moderate inflation spillover across the sample countries at normal condition. We further point out that inflation spillover effects with the U.S. are more pronounced for the emerging markets with higher openness, the net oil-importing emerging markets, and the emerging markets following free-float exchange rate regimes. More importantly, the inflation spillover index among the system rises dramatically to over 70% under extremely inflationary conditions, implying that the transmission of spiral inflation is very high. Additionally, the time-varying analysis shows that the role of the U.S. in the inflation shock transmission with emerging countries varies between being a net inflation-exporter and inflation-importer over times. Finally, an investigation of the drivers of the inflation spillovers reveals that the U.S. dollar, emerging markets' economic policy uncertainty, and bilateral trade are key determinants of the inflation shock transmission among the system. Our findings justify central banks’ actions in decreasing U.S. dollar reserves to safeguard their domestic currencies.
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    Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach
    (Elsevier Inc, 2024-06) Dang THN; Balli F; Balli HO; Gabauer D; Nguyen TTH
    This study investigates the sectoral expected uncertainty connectedness in emerging markets across different frequencies and quantiles using the novel quantile time–frequency connectedness approach of Chatziantoniou et al. (2022a). The employed dataset spans from January 1st, 2003 to October 4th, 2022, encompassing 10 key sectors. The findings reveal a robust and notable interconnection among these sectors, with a substantial total connectedness index of 91.01%. We also note that the largest proportion of the sectoral total connectedness is associated with long-term spillovers. Consumer Cyclicals emerges as the primary source of net risk transmission. Conversely, the Communications & Networking and Healthcare appear to be the greatest net receivers of shocks at the median level. Furthermore, we find that the degree of interconnectedness substantially varies over time, frequency, and quantile, and by economic events. In addition, we find suggestive evidence of asymmetric sectoral uncertainty connectedness effects as the uncertainty spillovers are higher during turbulent market conditions than normal market conditions. A positive relationship between uncertainty measures and sectoral connectedness is also observed during periods of smooth and normal market conditions. Besides, we also conduct different portfolio analyses illustrating the importance of risk diversification to reduce investment uncertainty. This has important implications for international investors and policymakers in forming optimal investment portfolios reducing adverse risk spillovers.